Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0995
Annualized Std Dev 0.2624
Annualized Sharpe (Rf=0%) 0.3792

Row

Daily Return Statistics

Close
Observations 4944.0000
NAs 1.0000
Minimum -0.1177
Quartile 1 -0.0068
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0089
Maximum 0.1218
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0165
Skewness 0.0530
Kurtosis 4.9140

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0116
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6345
Historical VaR (95%) -0.0270
Historical ES (95%) -0.0390
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0374
From Trough To Depth Length To Trough Recovery
2001-07-16 2002-10-07 2007-10-09 -0.6345 1560 300 1260
2007-11-01 2008-11-20 2010-10-26 -0.4981 752 267 485
2020-02-20 2020-03-16 2020-05-29 -0.3030 70 18 52
2011-07-08 2011-08-19 2012-03-13 -0.2630 172 31 141
2018-09-17 2018-12-24 2019-02-22 -0.2254 109 69 40

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA -0.8 1.6 -2.2 2 -2.3 -1.7 -3.4
2002 0.1 4.9 0.3 -2.1 -2.1 -5.3 -3.4 -3.6 1.6 2.8 -0.5 -1.7 -9.1
2003 0 -0.2 0.4 1.1 0.9 1.4 -0.6 1.3 2.9 0.1 1.9 -0.4 8.8
2004 0.2 1.3 1.2 -1.9 -0.6 -1.9 0.7 -0.3 3.8 1.5 2.8 -0.2 6.4
2005 0.2 1.1 0.6 0.7 0.5 -0.4 -0.3 -0.4 0.9 0.2 1.5 -0.7 4.1
2006 0.1 1.5 0 -0.5 0.8 -0.4 -1.2 0.6 -1 -1.3 -1.3 -0.7 -3.2
2007 1 -0.2 -0.2 -0.2 -0.1 -0.6 0.7 1.2 0.9 -1.8 -0.7 -0.6 -0.5
2008 2.2 -2.1 3.6 3.5 0.4 0.8 0.2 -1.9 -2.9 0.2 -7.9 1.8 -2.6
2009 -2.6 -0.1 1.5 0.2 2.8 0.7 0.4 -1.6 -2.9 -2.3 1.8 -1.3 -3.5
2010 1.1 1.4 -0.1 -2.1 -1.4 0.1 0.5 3.1 0.4 -0.1 2.5 -0.4 5
2011 2 -2.5 0.8 0.1 -2.3 0.9 -0.9 -1.6 -2.8 -3.1 -0.2 -0.3 -9.6
2012 1.9 1.3 -0.1 0.9 -3.3 4.4 -0.9 0.9 -1 2.3 0.1 0.9 7.5
2013 1.3 1.1 -1.3 -0.6 -1.1 0.6 1.5 0.2 0.7 0 0.1 0.3 2.8
2014 -0.5 -1.2 1.7 0.2 -1.1 1.2 -1.1 1 -1.6 1.6 -0.6 -0.8 -1.2
2015 -1.8 -0.4 -0.5 0.5 0.4 0.3 0 -2.9 1.2 -0.2 1.1 -1.2 -3.6
2016 0.4 3.7 0.8 -0.2 0.4 0 -0.1 0.2 0.6 -0.5 -3.3 -0.8 1.1
2017 -0.6 1.7 0.1 0.7 0.7 0 0.3 -0.1 0.8 -0.5 -0.4 -0.3 2.4
2018 -0.3 -0.8 1.9 0.9 1.6 0.4 0.6 -0.1 -0.3 1 1.2 1 7.2
2019 0.9 0.5 1.4 -1.6 -1.6 1.5 -0.1 -0.4 -1.1 1.2 -0.2 0.3 0.7
2020 -1.8 0.4 -4.7 -3.1 1.1 1.7 0.8 2.7 1.9 -2.6 -0.8 0.2 -4.4
2021 2.5 3 1 NA NA NA NA NA NA NA NA NA 6.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart